Exercise and vitamin D are both important for musculoskeletal health. In this issue of the Journal, Scragg and Camargo (Am J Epidemiol 2008;168:577-86) provide a new analysis of relatively old data on physical activity and vitamin D from the Third National Health and Nutrition Examination Survey (1988-1994). This commentary considers the methodological strengths and weaknesses of the study and concludes that the findings are as robust as could reasonably be expected from a cross-sectional design. Consideration is given to whether outdoor exercise is the cause of higher vitamin D levels and, if so, whether mortality gains may accrue from more widespread participation. A note of caution is sounded, given the disappointing results on studies of the prevention of falls and fractures with vitamin D supplementation in community-dwelling populations. However, this is an important observation, and more epidemiologic studies are needed, preferably including care home residents. Applied researchers should consider further studies of vitamin D supplementation in older people, possibly combined with an exercise intervention. Public health professionals and practicing clinicians should recognize that there is a rationale for recommending outdoor exercise, and they should seek to improve universal accessibility.